油價的衝擊與匯率的動態調整

Abstract

本文係以 Dornbusch (1976) 的模型為基礎，並加入油價變數，探討油價的波動對匯率的影響，進而影響物價。未能預料到的恆久性油價上漲與預料到的恆久性油價上漲對經濟體系的變動，透過探討，從匯率動態路徑了解匯率與物價的變動。在恆久性的油價上漲，政府宣告在某個時點將實施油價增漲，民眾接收資訊情報時，理性的採取因應行動，修正以往原先的預期，從而改變經濟行為，促使經濟體系在政策尚未執行之前，就已經先行調整。在未預料到的情況下，民眾在政府宣告油價增漲前的時點，並不會接收到資訊情報，然而無法事先調整原先預期，造成油價上漲對匯率與物價影響波動幅度大。本文的結論是，在未能預料到恆久性油價上漲情況下，觸發匯率和物價大幅波動，而在預料到的恆久性油價上漲情況下，匯率和物價並未如同預期的波動大，因為在時點發生前，民眾已接收到油價增漲的訊息，進而調整原先預期。

This paper considers the tendency of consumer price and the exchange rate caused by oil price shocks. Using the rational expectation model to re-specify the Dornbusch (1976) model as a fundamental framework and extends to complement oil price into deliberation. Unanticipated permanent oil price increase and anticipated permanent oil price increase are derived to understand the movement of the exchange rate and consumer price from evidence of the exchange rate dynamic path. Under the assumption of unanticipated permanent oil price increase, individuals are unable to predict the information of the oil price increase before the moment of the announcement. This will cause overshooting to occur where the exchange rate is more volatile than expected, leading to trigger the consumer price to be volatile. Conversely, undershooting will exist under anticipated permanent oil price increase, as individuals will know the fact of the oil price increase before the moment of the announcement. They will adjust their consuming behaviors beforehand, prompting economy to adjust causing the exchange rate to rise and in turn leading price level to rise in which undershooting occurs. The key result of the paper is that an increase of the oil price triggers the exchange rate and consumer price to rise in either cases of unanticipated permanent oil price increase and anticipated permanent oil price increase. However, in the case of an unanticipated permanent oil price increase, individuals detect ahead of time the signal of the oil price increasing, prompting changes of consumer prices and the exchange rate. Individuals will adjust their economic behavior, leading to an adjustment of economic system in advance.